Derivatives Pricing
Research on Derivatives Pricing is led by Professors Shackleton and Taylor. Other faculty members working in this area include Dr. James Huang, Dr. Martin Widdicks, and Dr. Rafal Wojakowski.
Notable recent contributions to research in this field include evidence on how objective densities for future prices can be obtained from option prices (Shackleton and Taylor), work on numerical methods that provide rapid solutions of general option pricing problems (Widdicks), numerical routines for pricing option caps and floors (Shackleton and Wojakowski), and theoretical work on the relation between individual and aggregate risk aversion (Huang).
Ongoing research topics and interests in the field of Derivatives Pricing include:
- Energy derivatives (Shackleton)
- Derivatives and risk management (Wojakowski)
- Option pricing bounds (Huang)
Illustrative publications include:
- Singular perturbation techniques applied to multi-asset option pricing. Mathematical Finance (PW Duck, DP Newton, M Widdicks and C Yang, forthcoming)
- Representative consumer’s risk aversion and efficient risk-sharing rules. Journal of Economic Theory (C Hara, J Huang, and C Kuzmics, 2007)
- Extending quadrature methods to value multi-asset and complex path-dependent options. Journal of Financial Economics (AD Andricopoulos, M Widdicks, DP Newton, and PW Duck, 2007)
- Finite maturity caps and floors on continuous flows. Journal of Economic Dynamics and Control (MB Shackleton and RM Wojakowski, 2007)
Current working papers relating to Derivatives Pricing are available via the School's working papers database.
